Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1341
Annualized Std Dev 0.2476
Annualized Sharpe (Rf=0%) 0.5419

Row

Daily Return Statistics

Close
Observations 3445.0000
NAs 1.0000
Minimum -0.1298
Quartile 1 -0.0067
Median 0.0015
Arithmetic Mean 0.0006
Geometric Mean 0.0005
Quartile 3 0.0089
Maximum 0.0990
SE Mean 0.0003
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0011
Variance 0.0002
Stdev 0.0156
Skewness -0.4891
Kurtosis 5.0106

Downside Risk

Close
Semi Deviation 0.0116
Gain Deviation 0.0099
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.6141
Historical VaR (95%) -0.0250
Historical ES (95%) -0.0379
Modified VaR (95%) -0.0255
Modified ES (95%) -0.0477
From Trough To Depth Length To Trough Recovery
2007-10-11 2008-11-20 2010-12-10 -0.6141 785 269 516
2020-02-20 2020-03-16 2020-05-29 -0.3396 70 18 52
2011-02-18 2011-10-03 2013-07-12 -0.3196 602 157 445
2015-06-04 2016-02-11 2016-11-17 -0.2623 370 175 195
2018-09-17 2018-12-24 2019-03-21 -0.2546 128 69 59

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA 0.2 0.4 1 1.5 0.9 -0.4 -0.5 0 3.1
2008 2.7 -2.6 2.9 1.9 1.1 -0.1 -0.1 -1.7 0.4 1.5 -4 3.1 4.7
2009 -2.1 -2.1 0.4 0.1 3.6 1.1 -0.1 -2.4 -3.6 -2.6 2.4 -1 -6.4
2010 2.2 2.6 0.2 -2.5 -2.8 -0.3 -0.4 3.1 -0.1 -0.1 2.6 -0.4 3.9
2011 2.2 -1.8 -1 0.3 -2.5 1.6 -0.6 -1.7 -3 -3.4 0.1 -0.3 -9.9
2012 2.2 0.6 0.1 0.4 -3.6 4 -0.9 0.8 -0.6 3 -0.4 1.8 7.3
2013 1.3 0 -1.5 -1.5 -0.7 0.9 2 -0.8 1.5 0 0.1 0.8 1.9
2014 -0.7 -0.3 1.6 0 -0.4 1.1 -0.4 0.8 -2.3 2.2 -1.2 -0.7 -0.4
2015 -1.7 -0.8 -1 1.6 0.3 0.3 -0.4 -2.9 -0.2 0.1 1.2 -1.2 -4.6
2016 0.5 2.8 0.7 -1.9 0.3 -0.3 0.1 0.6 0.9 -0.7 -3.2 -1 -1.2
2017 0.4 1.7 -0.2 0.8 0.7 -0.3 0.9 0.1 0.7 -0.6 -0.8 -0.8 2.7
2018 -0.2 -1.2 1.9 0.2 1.8 0.3 1 0.2 -0.6 2.1 1.1 1.2 8
2019 1.4 0.3 1.8 -1.3 -1.6 1.6 -0.5 -0.2 -1.2 1.6 -0.5 0.2 1.6
2020 -2.4 0.4 -4.9 -3.4 2.1 1.4 1 2.7 1.9 -1.8 0.3 0.1 -2.8
2021 2.5 3.6 1.2 NA NA NA NA NA NA NA NA NA 7.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-05-10  20.1 SPY    150. -0.0105  -0.0051   0.0386    0.0314    0.128    0.360    0.372 GLD    66   -0.0215 -2.21e-2
2 2007-05-29  20.1 SPY    152.  0.0036  -0.002    0.0181    0.0913    0.192    0.361    0.401 GLD    65.1  0.002  -9.10e-3
3 2007-06-05  20.8 SPY    153. -0.004    0.0082   0.017     0.0987    0.190    0.357    0.471 GLD    66.4 -0.0026  2.00e-2
4 2007-06-18  20.9 SPY    153. -0.00120  0.0105   0.0105    0.0905    0.212    0.341    0.508 GLD    65.0  0.0015  3.90e-3
5 2007-06-20  20.6 SPY    151. -0.0139  -0.0049  -0.0092    0.0548    0.222    0.330    0.440 GLD    64.7 -0.0118  2.80e-3
6 2007-06-21  20.9 SPY    152.  0.0056  -0.00580 -0.00290   0.0615    0.225    0.343    0.482 GLD    64.6 -0.0023 -6.00e-4
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart